// Julien Cujean, University of Bern //

Link to my Curriculum Vitae

Academic Appointments

University of Bern, Associate Professor

CEPR, Research Affiliate

Research Interests

"The capitalist mystery par excellence: that of price formation" (M. Houellebecq, La carte et Le territoire, p.93)

Publications

Information Percolation, Momentum, and Reversal, Journal of Financial Economics, 2017

[Slides]

[download pdf]

(with Daniel Andrei) Word-of-mouth communication accelerates the information flow through prices and generates momentum in asset returns. Word-of-mouth communication can propagate a rumor, which generates price run-ups and reversals.

Why Does Return Predictability Concentrate in Bad Times?, Journal of Finance, 2017

[Slides]

[internet appendix]

[download pdf]

(with Michael Hasler) Countercyclical investors' disagreement causes stock return predictability to concentrate in bad times; a time-series momentum strategy crashes after sharp market rebounds.

Idea Sharing and the Performance of Mutual Funds, Journal of Financial Economics, 2021

[Slides]

[download pdf]

Idea sharing causes the statistical significance of performance, the separation of skill from luck and performance persistence to concentrate in the worst-performing funds.

The Lost Capital Asset Pricing Model, Review of Economic Studies, forthcoming

[Slides]

[download pdf]

(with Daniel Andrei and Mungo Wilson) Variation in expected returns across investors leaves a mark on traditional CAPM tests, providing a novel explanation for the empirical failure of the CAPM despite widespread practical use.

Working Papers

Recovering Price Informativeness from "Nonfundamental" Shocks, (New), August 2024

[Slides]

[download pdf]

(with Samuel Jaeger) A measure of price informativeness exploiting price recovery from supply shocks using mutual fund fire sales. We let rational-expectations investors learn which of fundamentals or supply drive price pressures they see. We recover the information flow from the quadratic variation of shocked returns using intraday data, and curves of price informativeness, summarized by their level, slope and curvature.

Asset Pricing on FOMC announcements, February 2023

[Slides]

[download pdf]

(with Samuel Jaeger) Examining asset-pricing facts around FOMC announcements requires conditioning on good and bad news, and market noise. The pre-announcement drift is mostly present and highly informative upon good news, and the striking way in which facts have changed in the last decade corresponds to an equilibrium shift related to the rise of market noise despite the Fed's improved guidance.

Knowledge Cycles and Corporate Investment, (Major revision), December 2022

[Slides]

[download pdf]

(with Cecilia Bustamante and Laurent Fresard) Because investment creates knowledge, serendipitously, it is high early and late in a firm's knowledge cycle, and its relation with value spikes before new cycles start and declines thereafter, a pattern we uncover in the data.

The Low-Minus-High Portfolio and the Factor Zoo, May 2021

[Slides]

[download pdf]

(with Daniel Andrei and Mathieu Fournier) A single long-short portfolio will always explain, together with the market, 100% of cross-sectional variation in returns. The empiricist may uncover an infinity of proxies for this portfolio, thus unleashing the factor zoo.

Asymmetric Information and Inventory Concerns in Over-the-Counter Markets, December 2013

[Slides]

[download pdf]

(with Remy Praz) Transparency increases inventory costs and reduces the incentives to provide liquidity on an OTC market.

Global Public Signals, Heterogenous Beliefs and Stock Markets Co-movement, February 2010

[download pdf]

(with Daniel Andrei) A misinterpretation of a global public signal generates significant co-movement in stock returns in international stock markets.

Dumas & Maenhout (2003) Central-Planning Approach: A Comment, April 2008

[download pdf]

A note that I wrote on the Dumas & Maenhout (2003) Central Planning Approach in Incomplete Markets.